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Extreme Value Theory in Finance
Year Of Publication: 2006
Month Of Publication: December
Pages: 14
Download Count: 30
View Count: 1855
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 4-30-2011
Publisher: Administrator
Summary
Extreme value theory is a practical and useful tool for modeling and quantifying risk. In this article, after introducing basic concepts, we indicate how to apply it within a financial framework.
Author(s)
Kluppelberg, Claudia Sign in to follow this author
Brodin, Erik Sign in to follow this author
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